144 lines
5.3 KiB
Python
144 lines
5.3 KiB
Python
import asyncio
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import json
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import logging
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import socket
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import traceback
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from datetime import datetime
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from typing import AsyncContextManager
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import numpy as np
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import pandas as pd
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import requests.packages.urllib3.util.connection as urllib3_cn # type: ignore
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from sqlalchemy import text
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import websockets
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from sqlalchemy.ext.asyncio import create_async_engine
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import valkey
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import os
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from dotenv import load_dotenv
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### Allow only ipv4 ###
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def allowed_gai_family():
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return socket.AF_INET
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urllib3_cn.allowed_gai_family = allowed_gai_family
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### Database ###
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USE_DB: bool = False
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USE_VK: bool = True
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VK_TICKER = 'fut_ticker_extended'
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CON: AsyncContextManager
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VAL_KEY: valkey.Valkey
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### Logging ###
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load_dotenv()
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LOG_FILEPATH: str = f'{os.getenv("LOGS_PATH")}/Fund_Rate_Extended_OB.log'
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### CONSTANTS ###
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SYMBOL: str = 'ETH-USD'
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### Globals ###
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ALLOW_SYMBOL_CHG: bool = True
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### Websocket ###
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async def ws_stream():
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global SYMBOL
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while True:
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CHANGE_SYMBOL = False
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WSS_URL = f"wss://api.starknet.extended.exchange/stream.extended.exchange/v1/orderbooks/{SYMBOL}?depth=1"
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async for websocket in websockets.connect(WSS_URL):
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if CHANGE_SYMBOL:
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break
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logging.info(f"Connected to {WSS_URL}")
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try:
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async for message in websocket:
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### Update Symbol if Algo Outputs Change ###
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if ALLOW_SYMBOL_CHG:
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vk_get: str = VAL_KEY.get(name='fr_algo_working_symbol') # ty:ignore[invalid-assignment]
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if vk_get:
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best_symbol_by_exchange: dict = json.loads(s=vk_get)
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best_symbol: str = best_symbol_by_exchange['EXTEND']['symbol']
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if best_symbol != SYMBOL:
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logging.info(f'Symbol Change: {SYMBOL} -> {best_symbol}')
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SYMBOL = best_symbol
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CHANGE_SYMBOL = True
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await websocket.close()
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break
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else:
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logging.warning('Extend Orderbook WS: "fr_algo_working_symbol" is None; not switching to new symbol...')
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ts_arrival = round(datetime.now().timestamp()*1000)
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if isinstance(message, str):
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try:
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data = json.loads(message)
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if data.get('type', None) is not None:
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# print(f'OB: {data}')
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VAL_KEY_OBJ = json.dumps({
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'sequence_id': data['seq'],
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'timestamp_arrival': ts_arrival,
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'timestamp_msg': data['ts'],
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'symbol': data['data']['m'],
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'best_bid_px': float(data['data']['b'][0]['p']),
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'best_bid_qty': float(data['data']['b'][0]['q']),
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'best_ask_px': float(data['data']['a'][0]['p']),
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'best_ask_qty': float(data['data']['a'][0]['q']),
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})
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VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
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continue
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else:
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logging.info(f'Initial or unexpected data struct, skipping: {data}')
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continue
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except (json.JSONDecodeError, ValueError):
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logging.warning(f'Message not in JSON format, skipping: {message}')
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continue
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else:
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raise ValueError(f'Type: {type(data)} not expected: {message}')
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except websockets.ConnectionClosed as e:
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logging.error(f'Connection closed: {e}')
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logging.error(traceback.format_exc())
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continue
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except Exception as e:
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logging.error(f'Connection closed: {e}')
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logging.error(traceback.format_exc())
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async def main():
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global VAL_KEY
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global CON
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if USE_VK:
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VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
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else:
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logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
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raise NotImplementedError('Cannot run without VK')
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if USE_DB:
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raise NotImplementedError('DB not implemented')
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# engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
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# async with engine.connect() as CON:
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# # await create_rtds_btcusd_table(CON=CON)
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# await ws_stream()
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else:
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logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
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await ws_stream()
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if __name__ == '__main__':
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START_TIME = round(datetime.now().timestamp()*1000)
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logging.info(f'Log FilePath: {LOG_FILEPATH}')
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logging.basicConfig(
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force=True,
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filename=LOG_FILEPATH,
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level=logging.INFO,
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format='%(asctime)s - %(levelname)s - %(message)s',
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filemode='w'
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)
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logging.info(f"STARTED: {START_TIME}")
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try:
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asyncio.run(main())
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except KeyboardInterrupt:
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logging.info("Stream stopped") |